OiOiSwp

TYPE
-Define Notional
Use Term Rate
ON Index 1Sofr
Looking 1
Build Rule 1
Obs Lag 10
Lookback 10
Rate Cutoff 11
ON Index 2Sofr
Looking 2
Build Rule 2
Obs Lag 20
Lookback 20
Rate Cutoff 21
Pmt Lag 12B{US_GOVBOND}
Pmt Lag 22B{US_GOVBOND}
Notional1
AmortAmort
In parent: IRS
-Define Currencies
-Define Notionals
-Index Type 1
-Index Type 2
Currency 1USD
Currency 2USD
Index 1OiTermRt
Index 2OiTermRt
Notional 11
Notional 21
Gearings 11
Spreads 10
Floors 1
Caps 1
Schedule 1Sched#161
Lag on Principal 1
Amort 1Amort
-Define FX Reset 1
Gearings 21
Spreads 20
Floors 2
Caps 2
Schedule 2Sched#162
Lag on Principal 2
Amort 2Amort
-Define FX Reset 2
Leg1 Dir
Init Exchange
Final Exchange
_Notionals 1
_Notionals 2
In parent: Tradable
ID
Ledger Entry
Settle0D
_Dynamic
_CashFlows